Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0861 |
| Annualized Std Dev | 0.2077 |
| Annualized Sharpe (Rf=0%) | 0.4144 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4922.0000 |
| NAs | 1.0000 |
| Minimum | -0.1380 |
| Quartile 1 | -0.0050 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1103 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.4030 |
| Kurtosis | 11.1864 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5973 |
| Historical VaR (95%) | -0.0194 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0359 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2012-09-13 | -0.5973 | 1300 | 412 | 888 |
| 2020-02-21 | 2020-03-23 | 2020-11-09 | -0.4059 | 183 | 22 | 161 |
| 2002-03-20 | 2002-10-09 | 2003-10-06 | -0.3264 | 391 | 142 | 249 |
| 2018-08-30 | 2018-12-24 | 2019-05-03 | -0.2200 | 169 | 80 | 89 |
| 2015-03-23 | 2016-02-11 | 2016-08-23 | -0.2045 | 360 | 226 | 134 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | 0.1 | -1.5 | -1.2 | 1.2 | 0.7 | -0.3 | -0.8 |
| 2002 | 0 | 1.2 | -0.3 | 0.3 | 0.3 | -1.8 | -1.5 | -0.6 | 1.4 | 2.1 | -0.1 | 0.5 | 1.2 |
| 2003 | 0.7 | 0.9 | 0.5 | 0 | 2 | 0.7 | -0.5 | 0.5 | 1.5 | 0.3 | 1.3 | -0.1 | 8.1 |
| 2004 | 0.5 | 1.2 | 0.6 | -0.6 | 0.4 | -0.9 | 0.4 | 0.4 | 1.5 | 0.1 | 1.5 | -0.2 | 5.1 |
| 2005 | 0.8 | 0.8 | -0.2 | 0.7 | 0.8 | -0.2 | 0 | -0.1 | 0.6 | -0.2 | 1.7 | -0.6 | 4.3 |
| 2006 | 0.5 | 0.7 | 0.1 | -0.3 | 1.7 | 0.3 | -0.5 | 0.5 | -0.3 | -0.8 | -0.1 | -0.6 | 1.1 |
| 2007 | 1.1 | -0.6 | 0.4 | 0.3 | 0.4 | -0.2 | 0.3 | 1.5 | 1.5 | -2.3 | 0.9 | -0.7 | 2.4 |
| 2008 | 2.6 | -2.9 | 3.2 | 1.7 | 0.6 | 0.2 | -0.3 | -1.3 | 0 | 2.6 | -9.4 | 2.1 | -1.7 |
| 2009 | -2.8 | -1.6 | 1.9 | 0.5 | 3.6 | 0.6 | 0.2 | -2.3 | -3 | -2.9 | 1.5 | -1.1 | -5.4 |
| 2010 | 1.8 | 1.6 | 1.1 | -2.1 | -2.5 | -0.3 | 0.4 | 3.3 | 0.3 | -0.1 | 2.1 | -0.2 | 5.5 |
| 2011 | 1.4 | -1.8 | 0.7 | 0.4 | -2.3 | 1.6 | -0.8 | -1.4 | -2.8 | -2.9 | -0.3 | -0.3 | -8.3 |
| 2012 | 1.4 | 0.8 | 0.2 | 0.6 | -3 | 2.7 | -0.6 | 0.5 | 0 | 1.9 | 0.1 | 1.7 | 6.4 |
| 2013 | 1 | 0.2 | -0.8 | -1.2 | -1.2 | 1 | 1.8 | -0.7 | 1.1 | 0.3 | -0.3 | 0.4 | 1.5 |
| 2014 | -0.4 | 0 | 1 | 0.2 | 0 | 0.5 | -0.2 | 0.3 | -1.3 | 1.2 | -1.1 | -0.9 | -0.8 |
| 2015 | -1.3 | -0.3 | -0.4 | 1 | 0.3 | 0.5 | 0.1 | -2.9 | 0 | -0.1 | 0.9 | -0.8 | -3 |
| 2016 | 0.3 | 2.2 | 0.5 | -0.5 | 0.3 | 0.2 | -0.4 | 0.1 | 0.7 | -0.9 | -0.6 | -0.4 | 1.5 |
| 2017 | -0.3 | 1.2 | -0.1 | 0.2 | 1.2 | 0.2 | 0.1 | 0.4 | 0.4 | 0 | -0.2 | -0.5 | 2.6 |
| 2018 | -0.1 | -0.9 | 1.3 | 0.1 | 0.8 | 0.1 | -0.4 | 0.2 | -0.3 | 1.6 | 0.6 | 0.9 | 4 |
| 2019 | 0.4 | 0.6 | 1.1 | -1 | -0.9 | 0.8 | -1.2 | 0.1 | -1.4 | 1.2 | -0.5 | 0.4 | -0.5 |
| 2020 | -1.9 | -1.1 | -4.9 | -3.1 | 1 | 0.1 | 0 | 0.9 | 1 | -1 | 0.9 | 0.2 | -7.6 |
| 2021 | 1.7 | 2.5 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
